Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0052
Annualized Std Dev 0.3073
Annualized Sharpe (Rf=0%) -0.0168

Row

Daily Return Statistics

Close
Observations 3356.0000
NAs 1.0000
Minimum -0.1422
Quartile 1 -0.0084
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0092
Maximum 0.2063
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0194
Skewness 0.2136
Kurtosis 12.2989

Downside Risk

Close
Semi Deviation 0.0137
Gain Deviation 0.0145
Loss Deviation 0.0148
Downside Deviation (MAR=210%) 0.0182
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.7038
Historical VaR (95%) -0.0280
Historical ES (95%) -0.0460
Modified VaR (95%) -0.0257
Modified ES (95%) -0.0257
From Trough To Depth Length To Trough Recovery
2007-12-07 2008-11-20 NA -0.7038 3344 242 NA
2007-11-19 2007-11-26 2007-11-28 -0.0736 7 5 2
2007-12-03 2007-12-03 2007-12-04 -0.0002 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0.7 1.2 1.9
2008 3.1 -3.3 3.9 1.9 1.5 -1.9 -0.6 -1.5 1.9 0 -8.2 3.4 -0.4
2009 -2.9 -1.9 3.9 2.6 4.4 1.6 0.6 -2.4 -2.5 -3.6 3.2 0.4 2.9
2010 3.5 2.4 2.6 -1.6 -1.6 0.1 0.2 3.2 1.2 1.1 2.8 0.6 15.3
2011 1.2 -0.7 2.2 0.7 -1.6 1.2 0 0.3 -5 -1.4 0.3 0.5 -2.6
2012 2.5 1.1 0.7 0.6 -2.3 4.8 0.3 0.6 1 2.4 0.4 1.4 14.1
2013 0.6 -0.3 -1 -1.3 -2.4 0.1 1.9 0.9 1.5 0.2 0.5 0.7 1.2
2014 -0.3 -1 0.6 -0.1 -0.9 0.4 0.3 0.1 -2.3 1.1 -2.3 0.1 -4.2
2015 -2.9 0.9 1.7 0.5 0.4 -0.7 0 -4.4 0.1 -0.2 0.3 0 -4.2
2016 -1.2 3.7 0 -0.4 -0.6 0.8 -0.6 0.6 0.5 -0.5 -1.6 -0.3 0.1
2017 0.7 1.6 -0.4 0.4 0.8 0.6 0.7 0.7 1.3 0.7 -1.4 0 5.7
2018 -2 0.1 1.9 -0.3 1 1.6 -1.3 0.7 0 4 0.8 -0.2 6.5
2019 -0.5 0.2 1.4 -0.5 0.1 1.7 -2.1 0.6 -0.9 1.2 -1.5 0.2 -0.3
2020 -1.9 -1 -4 -4 1.9 1.2 -0.4 2 0.9 -1.7 1.5 -0.1 -5.7
2021 3 2.5 1.2 NA NA NA NA NA NA NA NA NA 6.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart